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Anglický jazyk
On Backward Stochastic Differential Equations (BSDEs) with jumps of infinite activity
Autor: Martin Büttner
Diploma Thesis from the year 2011 in the subject Mathematics - Stochastics, grade: 1,0, Humboldt-University of Berlin (Mathematik), language: English, abstract: This diploma thesis is concerned with backward stochastic differential equations (BSDEs) with... Viac o knihe
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O knihe
Diploma Thesis from the year 2011 in the subject Mathematics - Stochastics, grade: 1,0, Humboldt-University of Berlin (Mathematik), language: English, abstract: This diploma thesis is concerned with backward stochastic differential equations (BSDEs) with jumps which are driven by a Brownian Motion and a random measure.
We derive existence and uniqueness results for bounded solutions to such BSDEs when the generator posses a certain monotonicity property instead of the usual global Lipschitz condition.
Starting with results in the case of finite activity, considering generators of difference type and showing a comparison theorem, allows us to advance to the case of infinite activity.
- Vydavateľstvo: GRIN Publishing
- Rok vydania: 2016
- Formát: Paperback
- Rozmer: 210 x 148 mm
- Jazyk: Anglický jazyk
- ISBN: 9783668233072
